scholarly journals The Paradigm Shift in the Pakistan Stock Exchange’s Financial Integration Post-FTA and CPEC

2018 ◽  
Vol 23 (1) ◽  
pp. 21-50 ◽  
Author(s):  
Abdul Wahid
Keyword(s):  
Paradigm Shift ◽  
Free Trade Agreement ◽  
Financial Integration ◽  
Stock Exchange ◽  
Trade Agreement ◽  
International Markets ◽  
Global Markets ◽  
Stock Exchanges ◽  
Volatility Spillovers ◽  
Regional Markets

This paper examines whether regional connectivity causes return and volatility spillovers and the co-movement of stock exchanges to shift from international to regional markets. Using the China-Pakistan free trade agreement (FTA) of 2006 and the China-Pakistan Economic Corridor (CPEC) agreement to represent events of regional connectivity, we test this proposition based on data for two regional stock exchanges (the Pakistan Stock Exchange and Shenzhen Stock Exchange) and two global markets (the FTSE 100 and Nasdaq). We divide the convergence and co-integration of the stock markets into three phases: overall sample (2001–17), pre-FTA and post-FTA, and pre-CPEC and post-CPEC. Applying a GARCH (1, 1) model, co-integration, Granger causality and seasonality, we find that regional connectivity causes return and volatility spillovers and co-movements in the Pakistan Stock Exchange to shift from international markets to regional markets.

scholarly journals Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets

2017 ◽  
Vol 22 (2) ◽  
pp. 89-116
Author(s):  
Zohaib Azizv ◽  
Javedv Iqbalv
Keyword(s):  
Stock Market ◽  
Global Markets ◽  
Asymmetric Effect ◽  
Volatility Spillovers ◽  
Regional Market ◽  
Regional Markets ◽  
The Us ◽  
Local Risk ◽  
Using Data ◽  
Dynamic Linkages

This article examines the dynamic linkages between Pakistan’s emerging stock market and (i) the US market and (ii) the regional markets of India and Japan. Using data for the daily returns and volatility spillovers of three market pairs (Pakistan-US, Pakistan-Japan and Pakistan-India), the study estimates a series of bivariate asymmetric VARMA(1,1)-GARCH(1,1) models. It also fits multivariate asymmetric VARMA(1,1)-GARCH(1,1) models for two groups of markets: Pakistan-India-US and Pakistan-India-Japan. Based on the mean spillovers, the results suggest that the global and regional equity markets (Granger) cause the Pakistani market. There are unidirectional volatility spillovers to Pakistan from the US and Japan, while India is the only regional market with a significant cross-asymmetric effect on Pakistan. In the multivariate case, the regional and global markets have significant joint mean and variance spillovers and asymmetric effects on the Pakistani market. This indicates a weak degree of integration between the Pakistani market and the global and regional markets, implying that local risk factors – either firm-specific or country-specific – explain the expected returns on investment in the Pakistani stock market.

FINANCIAL MARKET INTEGRATION OF ASEAN-5 WITH CHINA: AN ECONOPHYSICS APPROACH

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paula Heliodoro ◽  
Paulo Alexandre ◽  
Cristina Vasco ◽  
...  
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Market Integration ◽  
Open Space ◽  
Financial Integration ◽  
Weak Form ◽  
International Markets ◽  
Portfolio Diversification ◽  
Stock Market Crash ◽  
Regional Markets

The main objective of this research is to estimate whether portfolio diversification is feasible in the financial markets of Indonesia, Malaysia, Philippines, Singapore and Thailand (ASEAN-5), and the market of China, in the context of the stock market crash in China in 2015. The purpose is to answer two questions, namely whether: (i) has the stock market crash in China increased financial integration in the ASEAN-5 financial markets and China? (ii) If the presence of long memories may put in question the diversification of portfolios? The results suggest that these markets are segmented, except for Malaysia/Singapore, bi-directional, and China/Filipinas, pre-crash. However, when analysing the stock market crash period, the results indicate 16 integrated market pairs with structure breakdown (in 30 possible). When compared with the previous sub-period it was found that during the stock market crash the level of financial integration increased significantly (533%). In the post-crash period, there were right integrated market pairs with broken structure. When compared to the crash period, the level of integration decreased in 50%. In addition, we observed that during the stock market crash these Asian markets did not have long memories, except for the Malaysian market, which reveals some predictability, that is, the increase in integration does not lead to persistence in these Asian markets. In conclusion, the ASEAN-5 markets and China mostly exhibit strong signs of efficiency in their weak form. The authors consider that the implementation of portfolio diversification strategies is beneficial for investors. These conclusions also open space for market regulators to take action to ensure better information between these regional markets and international markets.

Return and volatility spillover effects between the Turkey and the Russia stock market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Melih Kutlu ◽  
Aykut Karakaya
Keyword(s):  
Stock Exchange ◽  
Spillover Effects ◽  
Stock Exchanges ◽  
Volatility Spillover ◽  
Full Sample ◽  
Content Type ◽  
Crisis Period ◽  
Volatility Spillovers ◽  
Volatility Analysis ◽  
Economic Developments

PurposeThis study aimed to investigate return and volatility spillover between the Borsa Istanbul (BIST) and the Moscow Stock Exchange (RTS).Design/methodology/approachThis study used generalized autoregressive conditionally heteroscedasticity (GARCH) model for volatility and the Aggregate Shock (AS) model for return and volatility spillover. The data are divided into six sub-periods. Period events take place between Turkey and Russia.FindingsBIST investors considered the return and volatility of the RTS, it is observed that Moscow Stock Exchange investors considered only the return of BIST at the full sample. It is only a return spillover from BIST to RTS and neither the return nor the volatility of the RTS is spillover to BIST in the pre-crisis period. No evidence of return and volatility spillover between the BIST and the RTS in the post-crisis period. The returns and volatility spillovers between Russia and Turkey are mutual feedback in the jet crisis period.Practical implicationsEconomic developments between Turkey and Russia is growing rapidly in recent years. The return and volatility analysis between the stock exchanges of these two countries is important for investment decisions.Originality/valueThere are many studies in the literature about emerging markets. There are also Turkish and Russian stock exchanges in these studies. However, this study only examined return and volatility spillover analysis between the Turkish and Russian stock exchanges and prevents the results from being overlooked among other countries.

scholarly journals Volatility Spillover Analysis Post Implementation of AEC 2015 Agreement: Empirical Study on ASEAN-5 Stock Market

2018 ◽  
Vol 9 (2) ◽  
pp. 105
Author(s):  
Yunia Panjaitan ◽  
Siti Saadah
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Financial Integration ◽  
Stock Exchange ◽  
The Philippines ◽  
Stock Exchanges ◽  
Volatility Spillover ◽  
Asean Member ◽  
Daily Data ◽  
Asean Economic Community

Efforts to improve financial integration that continue to be implemented after the implementation of the Asean Economic Community 2015 agreement, can encourage increased integration of capital markets in countries within the region. This study was conducted to investigate the spillover of volatility between stock markets that accompanied the ongoing efforts of financial integration carried out by ASEAN member countries. Investigation of volatility spillover is done by applying Exponential GARCH method on time series daily data of stock return of ASEAN-5 countries period September 2016 - December 20, 2017. If previous studies found significant spillover of volatility from Singapore, Malaysia, Thailand and Philippines, the results of this study show that only Singapore's stock exchanges consistently have a significant impact on the Indonesian stock market. The turmoil in the Singapore stock market will be consistently transmitted to the Indonesian stock market. However, efforts to improve the financial integration carried out by ASEAN member countries have not consistently caused the turmoil in Malaysia, Thailand and the Philippines stock exchange to be transmitted to the Indonesian stock market.

‘Not Unreasonably Denied’: Australian Content after Ausfta

2004 ◽  
Vol 111 (1) ◽  
pp. 8-22 ◽  
Author(s):  
Jock Given
Keyword(s):  
New Media ◽  
Intellectual Property Rights ◽  
Free Trade Agreement ◽  
Trade Agreement ◽  
Global Markets ◽  
Information Economy ◽  
Broadcast Television ◽  
Policy Capacity ◽  
Emerging Media ◽  
Media Systems

The text of the Australia–United States Free Trade Agreement (AUSFTA), released in early March 2004, makes more concessions than many in Australia's audiovisual and cultural industries might have hoped, but less than they feared. Its precise impact will depend on how ‘new media’ replaces, subsumes or supplements ‘old media’, and how quickly. AUSFTA institutionalises much lower aspirations about the level of Australian content in emerging media systems than Australians have come to expect in broadcast television. Some will interpret this simply as an articulation of the policy impotence which will inevitably flow from technological change. Others will recognise it as a partial, but historic, concession of Australian policy capacity and a broad acceptance of the long-standing US agenda for the information economy — long and tough protections for intellectual property rights, but increasingly liberal global markets for trading them. This article explains the provisions of AUSFTA and examines their effect on Australian audiovisual and cultural activities.

scholarly journals International portfolio diversification during the Covid-19 onset: A study of correlations among CEE post-transition and developed countries

2021 ◽  
pp. 75-89
Author(s):  
Paweł Śliwiński
Keyword(s):  
Stock Exchange ◽  
Negative Relationship ◽  
International Diversification ◽  
Developed Countries ◽  
International Markets ◽  
Stock Exchanges ◽  
Global Risk ◽  
Emerging Stock Markets ◽  
Stock Indices ◽  
Positive Correlations

Purpose: The chapter examines the hypothesis that during the Covid-19 onset, the higher positive correlations between stock exchange indices persist, preventing the use of international diversification to reduce the volatility of global portfolio. Design/methodology/approach: The study focuses on CEE post-transition countries and their main stock exchange indices’ correlations with developed markets stock exchange indices. The data cover the period starting from January 8, 2004, until the end of October, 2020. The bivariate relationship between stock indices and VIX was measured by the Pearson coefficient of correlation. Findings: The findings of correlations estimation in three periods (long-term, Covid-19 on-set, and recovery) indicate that except for a period of large volatility measured by the VIX index lower relationships between developed and emerging stock markets persist. However, the results of the study concerning the shaping of correlation between the stock indices and the global risk shows a significant negative relationship between them, approaching very high levels close to 1 during the Covid-19 onset. All the CEE stock exchanges – even those low correlated in the longer term – behaved very similarly during the stock exchange crunch with its epicenter in March 2020. Practical implications: The answer to the research questions concerning the shaping of correlations on international markets is important for the portfolio theory itself in its international aspect, but also from the viewpoint of its applicability in practice. Huge market synchronization in terms of comovements in stock indices is troubling. It significantly reduces or even eliminates the benefits of international diversification during market crashes.

scholarly journals STOCK EXCHANGES IN INDIA- NEED FOR A PARADIGM SHIFT IN ELECTRONIC ERA

2020 ◽  
pp. 106-109
Author(s):  
Shacheendran.V
Keyword(s):  
Key Words ◽  
Paradigm Shift ◽  
Stock Exchange ◽  
Money Market ◽  
Secondary Market ◽  
Market Liquidity ◽  
Stock Exchanges ◽  
Proper Functioning ◽  
Set Up ◽  
Capitalistic System

Stock Exchange is regarded as an essential concomitant of the capitalistic system of economy. It is indispensable for the proper functioning of corporate enterprise. It is the citadel of capital and the pivot of money market. Since 1887, various regional stock exchanges have been set up in India. However, the performance records from 1993-94 to 2003-04 show that the trading initiated by them had been gradually declining. Hence, the present paper suggests, based on their performance records, to consolidate the secondary market for securities by merging them with the leading exchanges. KEY WORDS: Stock Exchange, money market, liquidity, securities

Investor-State Dispute Settlement under NAFTA Chapter 11: The Shape of Things to Come?

1998 ◽  
Vol 35 ◽  
pp. 263-290
Author(s):  
J. Anthony VanDuzer
Keyword(s):  
Free Trade Agreement ◽  
Dispute Settlement ◽  
Trade Agreement ◽  
Minimum Standards ◽  
The North ◽  
State Behaviour ◽  
Nafta Chapter 11 ◽  
To Come ◽  
The Right

SummaryRecently, there has been a proliferation of international agreements imposing minimum standards on states in respect of their treatment of foreign investors and allowing investors to initiate dispute settlement proceedings where a state violates these standards. Of greatest significance to Canada is Chapter 11 of the North American Free Trade Agreement, which provides both standards for state behaviour and the right to initiate binding arbitration. Since 1996, four cases have been brought under Chapter 11. This note describes the Chapter 11 process and suggests some of the issues that may arise as it is increasingly resorted to by investors.

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